For the most part you treat it as if you are validating any other kind of control but use the InitialValue property of the required field validator.
<asp:RequiredFieldValidator ID="rfv1" runat="server" ControlToValidate="your-dropdownlist" InitialValue="Please select" ErrorMessage="Please select something" />
Basically what it's saying is that validation will succeed if any other value than the 1 set in InitialValue is selected in the dropdownlist.
If databinding you will need to insert the "Please select" value afterwards as follows
this.ddl1.Items.Insert(0, "Please select");
与恶龙缠斗过久,自身亦成为恶龙;凝视深渊过久,深渊将回以凝视…